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Fair Value (Details 1) (USD $)
In Thousands, unless otherwise specified |
6 Months Ended | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
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Jun. 30, 2014
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Dec. 31, 2013
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Jun. 30, 2014
Cusip One [Member]
Number
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Jun. 30, 2014
Cusip Two [Member]
Number
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Jun. 30, 2014
Cusip Three [Member]
Number
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Jun. 30, 2014
Cusip Four [Member]
Number
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| Fair Value Pooled Trust Preferred Securities [Line Items] | ||||||||||||||
| Cusip | 74043CAC1 | 74042TAJ0 | 01449TAB9 | 01450NAC6 | ||||||||||
| Deal name | PreTSL XXIV | PreTSL XXVII | Alesco IX | Alesco XVII | ||||||||||
| Class | B-1 | C-1 | A-2A | B | ||||||||||
| Book value | $ 208,850 | $ 199,125 | $ 1,257 | $ 1,296 | $ 1,303 | $ 1,352 | ||||||||
| Fair value | 209,379 | 194,296 | 533 | 522 | 832 | 557 | ||||||||
| Unrealized gains/(losses) | (724) | (774) | (471) | (795) | ||||||||||
| Lowest credit rating assigned | CC | C | BB | CC | ||||||||||
| Number of performing banks | 53 | 30 | 55 | 46 | ||||||||||
| Number of performing insurance companies | 13 | 7 | 10 | |||||||||||
| Number of issuers in default | 17 | 9 | 1 | 3 | ||||||||||
| Number of issuers in deferral | 10 | 3 | 10 | 7 | ||||||||||
| Defaults & deferrals as a % of performing collateral | 40.78% | 25.75% | 17.22% | 22.89% | ||||||||||
| Subordination: | ||||||||||||||
| As a % of performing collateral | 6.65% | (2.41%) | 41.15% | 22.09% | ||||||||||
| As a % of performing collateral - adjusted for projected future defaults | (0.92%) | (11.80%) | 37.39% | 17.38% | ||||||||||
| Other-than-temporary impairment model assumptions: | ||||||||||||||
| Year 1 - issuer average | 2.50% | 2.80% | 2.00% | 1.90% | ||||||||||
| Year 2 - issuer average | 2.50% | 2.80% | 2.00% | 1.90% | ||||||||||
| Year 3 - issuer average | 2.50% | 2.80% | 2.00% | 1.90% | ||||||||||
| > 3 Years - issuer average | [1] | [1] | [1] | [1] | ||||||||||
| Discount rate - 3 month Libor, plus implicit yield spread at purchase | 1.48% | 1.23% | 1.27% | 1.44% | ||||||||||
| Recovery assumptions | [2] | [2] | [2] | [2] | ||||||||||
| Prepayments | 0.00% | 0.00% | 0.00% | 0.00% | ||||||||||
| Other-than-temporary impairment | $ 271 | $ 271 | $ 41 | $ 132 | $ 36 | $ 62 | ||||||||
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